LEAN is the open source
algorithmic trading engine powering QuantConnect. Founded in 2013 LEAN has been built by a
global community of 80+ engineers and powers more than a dozen hedge funds today.
Alpha League Competition: $1,000 Weekly Prize Pool
Qualifying Alpha Streams Reentered Weekly Learn
more
My Forex strategies work on days that close when the New York markets close at 17:00 New York time, but the data comes with daily roll-overs either at 00:00 UTC (19:00 EST) or 00:00 EST.
I'd like to create a custom consolidator to make QuoteBars every day at 17:00 New York time.
I've tried the approach suggested in this post, but there are things missing.
It doesn't build when I wire the custom consolidator to my data handler,
I guessed what WorkingData should get.
I don't know what Scan() should do.
I'd appreciate any suggestions.
I thought an alternative would be to clone and modify the QuoteBarConsolidator class. Can I get that somewhere?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Tony Shacklock
1.6k
,
I have created TimeOfDayConsolidator and QuoteBarTimeOfDayConsolidator classes - cloned and modified from PeriodCountConsolidatorBase and QuoteBarConsolidator classes.
I feel a bit out of my depth, so I'd appreciate someone looking over them to see if I've got it right. They test out fine with Oanda and FXCM data, but there are probably situations that I haven't accounted for.
Any comments appreciated.
Second question: I've created the two consolidator classes in separate files. How to I make them available to other projects in the Web IDE?
Â
Â
2
Jack Simonson
,
This looks great Tony, it's definitely something you would want to make available across multiple algorithms. You can create custom libraries in the Algorithm Lab and access those from different algorithms. If you look at the side-bar in the terminal, there is a section beneath the files in your current project where you can create custom libraries. Just click the "Add New Library" button! You can also see the answer to a similar question that was posted here.
1
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Tony Shacklock
1.6k
,
Thanks, Jack.
The link to the similar question doesn't work for me. Would you post it again, please?
Cheers
Tony
0
Jack Simonson
,
Try clicking this link. Hopefully, this one works.
0
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Douglas Stridsberg
4.8k
,
This is useful - however I'd like to point one thing. The documentation mentions the passing of a specified time of day in the data timezone. In reality, it references the exchange timezone. One example is Oanda forex where passing TimeSpan.FromHours(0) to the consolidator gives bars closing at midnight New York (exchange) rather than midnight UTC (data).
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Loading...
To unlock posting to the community forums please complete at least 30% of Boot Camp. You can
continue your Boot Camp training progress from the
terminal. We hope to see you in the community soon!
You do not have enough QC Credit to send this award, get a QC Credit Pack
here.
Award Sent Successfully
Thank you for giving back to the community.
Processing...
Choose a Credit Pack
Payment Confirmation
QuantConnect Credit (QCC) can be applied to your cloud-invoices or
gifted to others in the community with Community Awards in recognition of their contributions.
Community Awards highlight the awesome work your fellow community members are doing and inspires
high quality algorithm contributions to the community. Select an option below to add
QuantConnect Credit to your account:
$5
500 Credit Points
 
$10
1,000 Credit Points
 
$18
2,000 Credit Points
10% bonus
$45
5,000 Credit Points
10% bonus
03/23XXXX XXXX XXXX 0592
We will charge your default organization credit card on file, click
here to update.